McLeish, who spent six weeks in charge at the City Ground before he was replaced by Davies in February 2103, felt sympathy for his compatriot, who left Forest on March 24.
He told Sky Sports News: "That was a real surprise for me because Billy Davies had a fantastic run last season and I thought he was going to be there for the long haul.
"It seemed his relationship with the chairman was top drawer and then at the end it all seemed to fall apart, but I guess it comes down to good results and it is quite a fickle game that we are involved in at the moment.
"You don't get the time to build a team and managers are discarded so it's trying times for managers and the only thing you can do is try and keep winning games to keep your job."
As to his own managerial ambitions, the former Rangers and Birmingham City manager admitted that he is keen to get back into the game.
"I feel I have got more in my locker to offer the game," he added. "I'm just waiting for a chairman or owner who I can work with; wherever I have been in the past, I have had a good relationship with the chairman. That relationship is vital if you are to have success."
McLeish is also keen to see an end to the off-field turmoil at Rangers - a club where he enjoyed five trophy-laden years in the 2000s.
"Behind the scenes it is obviously quite difficult," he said. "Ally McCoist is in a Scottish Cup semi-final and in a Ramsdens Cup final - you would expect them to win that - and they have had another promotion. So on the football side of things they are going forward. They just need to get the political side right.
"It surprises me how long these problems have dragged on but if it has to drag on to make Rangers better then let's see what the fresh round of talks bring. Dave King wants to get back in there but it is difficult for me to comment on it because I don't know exactly what is going on.
"But the supporters must get what they want. They have backed the club through it all to the hilt."